Macroeconomic Risk and the Determination of Expected Returns on Stocks
Abstract
This paper empirically investigates the link between expected returns on stocks and a set of variables that describe the general state of economic activity. The model relates the first and second conditional moments on stock excess returns to the conditional variances and covariances of a set of prespecified macroeconomic factors. The estimation results suggest that industrial production growth, inflation, and short‐term interest rates help explain the behavior over time of expected excess returns on stocks.
Citation
Sill, K. (1995), "Macroeconomic Risk and the Determination of Expected Returns on Stocks", Managerial Finance, Vol. 21 No. 7, pp. 43-56. https://doi.org/10.1108/eb018527
Publisher
:MCB UP Ltd
Copyright © 1995, MCB UP Limited